A Monte Carlo test for the identifying assumptions of the Blanchard and Quah (1989) model

In their VAR model, Blanchard and Quah (BQ, 1989) employed uncorrelatedness between Aggregate Supply (AS) and Aggregate Demand (AD) shocks and the long-run output neutrality condition as identifying assumptions. This article conducts a simple Monte Carlo experiment to gauge how well the BQ procedure can approximate the true structure if the underlying assumptions of uncorrelatedness and long-run output neutrality are not supported by data.

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Year of publication:	2013
Authors:	Huh, Hyeon-Seung
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 20.2013, 6, p. 601-605
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010624355